Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0027
Annualized Std Dev 0.2153
Annualized Sharpe (Rf=0%) -0.0127

Row

Daily Return Statistics

Close
Observations 4252.0000
NAs 1.0000
Minimum -0.1381
Quartile 1 -0.0044
Median 0.0007
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0055
Maximum 0.2217
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0136
Skewness -0.0430
Kurtosis 31.1902

Downside Risk

Close
Semi Deviation 0.0101
Gain Deviation 0.0100
Loss Deviation 0.0121
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0100
Downside Deviation (0%) 0.0100
Maximum Drawdown 0.6483
Historical VaR (95%) -0.0182
Historical ES (95%) -0.0344
Modified VaR (95%) -0.0139
Modified ES (95%) -0.0139
From Trough To Depth Length To Trough Recovery
2007-05-21 2009-03-09 NA -0.6483 3484 454 NA
2004-05-07 2004-07-28 2006-11-29 -0.1804 647 56 591
2007-02-23 2007-03-14 2007-04-23 -0.0594 41 14 27
2006-12-15 2006-12-20 2007-01-17 -0.0241 20 4 16
2007-01-18 2007-01-29 2007-02-02 -0.0180 12 8 4

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA 0.1 0 1.4 1.9 0.9 0.8 -0.4 0.2 0.8 5.8
2005 0.6 0.1 0.7 0 0.8 -0.7 0.1 0.7 0.1 -0.7 0.2 0.1 2
2006 -0.2 0.2 -0.3 0.6 1.3 -0.2 0.7 0.5 0.4 -0.2 -0.9 -0.4 1.5
2007 0.3 -1.1 0.3 -0.4 0.1 0 -1.8 0.9 -0.3 -0.7 2 1.8 1.2
2008 1.5 -1.4 2.9 -0.1 0.6 -0.2 -0.4 -0.1 3.6 1.9 -8 3.9 3.7
2009 -1.7 0.2 2.8 -0.6 2.3 -2.1 0.2 -0.9 -0.3 -5.7 -0.1 -0.8 -6.8
2010 0.6 1.1 0.6 -1.1 -1.7 -1.8 1.2 3.1 -0.3 -0.7 1 0.3 2.3
2011 1.4 -0.5 0 0.8 -0.4 0.6 0.3 -0.5 -0.5 -1.8 0.2 0.2 -0.2
2012 0.2 0.4 1 0.4 -1.8 1.4 0.3 -0.5 0.5 0.8 0.1 1.2 4
2013 0.5 0.2 -0.2 -0.3 -1.2 1.1 0.5 -0.2 0.8 0.2 -0.1 -0.1 1.2
2014 -0.4 0.5 0.8 -0.4 -0.2 0.1 -1.4 0.5 -0.4 0.9 -0.8 -2.6 -3.4
2015 -1.1 -0.3 -0.9 0.8 -0.5 1.2 0.6 -1.7 0.8 0 1.2 -0.7 -0.6
2016 0.6 2.2 1.6 -0.7 0.1 1.1 -0.3 0.1 1 -0.4 -0.6 0.1 4.7
2017 0.1 1.3 0.1 0.7 0.9 0.1 0.5 0.9 0.7 0.3 -0.1 -0.2 5.3
2018 0.8 -2.2 1.9 -0.2 0.4 0.4 -0.1 0 0.1 1.5 0.8 0.4 3.8
2019 -0.1 0.4 0.9 0.2 -0.8 1 -0.4 0.5 -0.7 0.8 0.2 0.6 2.5
2020 -1.3 -4.4 -5.2 -2.6 0.9 0.4 0.7 0.6 0.3 -1.4 0.7 -0.4 -11.3
2021 1.6 2.3 0.2 NA NA NA NA NA NA NA NA NA 4.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-04-28  20   SPY    113. -0.0129   0.0013   0.002  -4.90e-3    0.229  -0.0771   -0.169 <NA>     NA    NA       NA
2 2004-04-29  20   SPY    112. -0.0088  -0.0212  -0.0101 -1.45e-2    0.217  -0.0802   -0.181 <NA>     NA    NA       NA
3 2004-04-30  20.0 SPY    111. -0.0078  -0.0297  -0.0189 -2.22e-2    0.207  -0.0991   -0.192 <NA>     NA    NA       NA
4 2004-05-03  20.0 SPY    112.  0.0107  -0.018   -0.0143 -1.60e-2    0.203  -0.0935   -0.172 <NA>     NA    NA       NA
5 2004-05-04  20   SPY    112. -0.0008  -0.0196  -0.0225 -1.51e-2    0.205  -0.109    -0.166 <NA>     NA    NA       NA
6 2004-05-05  20   SPY    113.  0.0064  -0.0004  -0.0216 -6.00e-4    0.201  -0.0971   -0.154 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart